In this Note, we give some theoretical results for an original Markov-switching autoregressive model with gamma innovations which has been introduced to describe wind time series. We provide explicit conditions that imply the stability of this model and the consistency of the maximum likelihood estimator.
Dans cette Note, nous nous intéressons à certaines propriétés théroriques d'un modèle autorégressif à changements de régimes markoviens original qui a été introduit pour décrire des séries temporelles de vent. Dans ce modèle, l'évolution du processus observé dans les différents régimes est paramétrée en utilisant des lois gamma. Nous donnons en particulier des conditions explicites qui impliquent la stabilité de ce modèle ainsi que la convergence des estimateurs du maximum de vraisemblance.
Accepted:
Published online:
Pierre Ailliot 1, 2
@article{CRMATH_2006__343_4_271_0, author = {Pierre Ailliot}, title = {Some theoretical results on {Markov-switching} autoregressive models with gamma innovations}, journal = {Comptes Rendus. Math\'ematique}, pages = {271--274}, publisher = {Elsevier}, volume = {343}, number = {4}, year = {2006}, doi = {10.1016/j.crma.2006.05.018}, language = {en}, }
Pierre Ailliot. Some theoretical results on Markov-switching autoregressive models with gamma innovations. Comptes Rendus. Mathématique, Volume 343 (2006) no. 4, pp. 271-274. doi : 10.1016/j.crma.2006.05.018. https://comptes-rendus.academie-sciences.fr/mathematique/articles/10.1016/j.crma.2006.05.018/
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